Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0482
Annualized Std Dev 0.1949
Annualized Sharpe (Rf=0%) 0.2474

Row

Daily Return Statistics

Close
Observations 5052.0000
NAs 1.0000
Minimum -0.1160
Quartile 1 -0.0045
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0057
Maximum 0.1162
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0123
Skewness -0.0987
Kurtosis 11.5585

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0089
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5555
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0300
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0219
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-05-07 -0.5555 1403 355 1048
2001-02-13 2002-10-09 2007-05-03 -0.4277 1558 412 1146
2020-02-20 2020-03-23 2020-08-04 -0.3144 116 23 93
2018-09-21 2018-12-24 2019-04-26 -0.2014 149 65 84
2015-07-21 2015-08-25 2016-07-12 -0.1313 247 26 221

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA 0.1 0.6 1.6 0.6 0.6 -1 0 0.4 2.3 0.4 -1 4.7
2002 -0.6 2 -0.4 0.7 0.6 -1.3 -2.7 -0.8 4 1.6 -0.8 -0.5 1.5
2003 1.4 0.7 0.5 -0.2 1.3 0.7 -0.8 0.9 2 0.5 0.9 0.3 8.4
2004 -0.5 0.8 0.3 -1.1 -0.6 -0.9 -0.3 0.2 1.8 0.2 1.5 -0.3 1
2005 0.7 0.4 -0.8 0.9 0.7 -0.1 0 0.9 0 -0.8 0.5 -0.7 1.6
2006 -0.2 0.7 0.4 0.2 1 -0.2 -0.4 0.2 0 -0.5 -0.3 -0.4 0.5
2007 0.4 -0.3 -0.1 0.3 0.4 -0.7 0.7 0.8 1.3 -2.5 0.9 -0.5 0.7
2008 -0.4 -2.5 3.7 1.7 -0.1 0.5 -0.4 -1.3 3 1.3 -8.1 1 -2.2
2009 -2.1 -2.5 1.9 0.6 1.5 0.4 0.1 -2.3 -2.3 -3 1.1 -0.9 -7.4
2010 1.3 0.8 0.6 -1.6 -1.4 -0.5 -0.1 2.8 0.5 0 2.1 0.1 4.7
2011 1.7 -1.6 0.3 0.3 -2.1 1.4 -0.2 -0.9 -2.2 -2.6 -0.1 -0.5 -6.5
2012 0.7 0.6 0.3 0.6 -2.3 2.5 -0.2 0.5 0.3 1 -0.1 1.7 5.5
2013 1 0.3 -0.2 -0.7 -1.5 0.7 1 -0.3 0.8 0.2 0 0.4 1.7
2014 -0.7 0.3 0.6 -0.1 0.2 0.8 -0.4 0.2 -1.3 1.1 -0.7 -1 -1.2
2015 -1.2 -0.4 -0.4 1 0.2 0.8 -0.3 -3 0.3 -0.7 1 -1 -3.7
2016 0 2.6 0.8 -0.4 0.1 0.2 0 0 0.8 -0.6 -0.2 -0.4 2.7
2017 0.2 1.4 -0.3 0.3 0.6 0.1 0.3 0.1 0.3 0.3 -0.1 -0.4 2.9
2018 0 -1.4 1.5 0.2 1.1 0 0.2 -0.1 0.5 0.9 0.8 1 4.7
2019 -0.1 0.7 1.2 -0.5 -1.5 0.9 -0.8 -0.1 -1.2 0.9 -0.3 0.2 -0.6
2020 -1.7 -0.3 -4.3 -2.5 0.3 0.8 1.2 1.1 0.7 -1.3 1.2 0.5 -4.6
2021 1.5 2.5 -0.2 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-02-12  68.9 SPY    133.  0.0115  -0.018    0.0083  -0.0477  -0.0385       NA       NA <NA>     NA    NA       NA
2 2001-02-13  68.7 SPY    132. -0.0082  -0.0231   0.002   -0.0319  -0.0519       NA       NA <NA>     NA    NA       NA
3 2001-02-14  68.4 SPY    132. -0.0015  -0.0195  -0.0059  -0.0258  -0.064        NA       NA <NA>     NA    NA       NA
4 2001-02-15  68.7 SPY    133.  0.0097   0.0017  -0.0008  -0.0416  -0.0407       NA       NA <NA>     NA    NA       NA
5 2001-02-16  67.8 SPY    130. -0.022   -0.0109  -0.0325  -0.0657  -0.057        NA       NA <NA>     NA    NA       NA
6 2001-02-20  66.5 SPY    128. -0.0154  -0.0372  -0.042   -0.0654  -0.0512       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart